New Issue: JPMorgan prices $10.44 million callable contingent interest notes linked to two indexes

By Susanna Moon

Chicago, Sept. 1 – JPMorgan Chase & Co. priced $10.44 million of callable contingent interest notes due Aug. 31, 2017 linked to a basket of two indexes and a fund, according to a 424B2 filing with the Securities and Exchange Commission.

The basket consists of the S&P 500 index with a 50% weight, Euro Stoxx 50 index with a 35% weight and the iShares MSCI Emerging Markets exchange-traded fund with a 15% weight.

The payout at maturity will be par of $10 plus 1.75 times any basket gain, up to a maximum return of 18%.

Investors will receive par if the basket falls by up to 18% and will lose 1.2195% for each 1% decline beyond 18%.

J.P. Morgan Securities LLC is the agent.

Issuer:	JPMorgan Chase & Co.
Issue:	Buffered return enhanced notes
Underlyings:	S&P 500 index (50% weight), Euro Stoxx 50 index (35% weight) and the iShares MSCI Emerging Markets ETF (15% weight)
Amount:	$10,436,000
Maturity:	Aug. 31, 2017
Coupon:	8.2% annualized, payable quarterly if each underlying component closes at or above coupon barrier level on review date for that quarter
Price:	Par
Payout at maturity:	Par plus 1.75 times any basket gain, capped at 18%; par if the basket falls by up to 18%; 1.2195% loss per 1% drop beyond 18%
Initial levels:	1,987.66 for S&P, 3,280.78 for Stoxx, $34.22 for MSCI EM
Barrier level:	82% of initial levels
Pricing date:	Aug. 27
Settlement date:	Sept. 1
Agent:	J.P. Morgan Securities LLC
Fees:	0.4%
Cusip:	48125UU42

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